OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON

DOI10.1142/S0219493710002930zbMath1197.91195arXiv0904.0707MaRDI QIDQ3578408

Brahim El Asri

Publication date: 20 July 2010

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0707

zbMATH Keywords

variational inequalitiesbackward stochastic differential equationsswitchingviscosity solutionsstopping timesSnell envelope

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

An investment model with switching costs and the option to abandon ⋮ Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time ⋮ Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem ⋮ Application of doubly reflected BSDEs to an impulse control problem ⋮ The value of a minimax problem involving impulse control ⋮ Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach

Cites Work

• A model for investment decisions with switching costs.
• User’s guide to viscosity solutions of second order partial differential equations
• Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
• Optimal Switching in an Economic Activity under Uncertainty
• A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
• Reflected BSDE's with discontinuous barrier and application
• On the Starting and Stopping Problem: Application in Reversible Investments
• Existence and uniqueness for BSDE with stopping time

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